Applied Econometrics

Course Code :2128TEWECP
Study domain:Research Methodology
Academic year:2018-2019
Semester:1st semester
Contact hours:60
Credits:6
Study load (hours):168
Contract restrictions: No contract restriction
Language of instruction:English
Exam period:exam in the 1st semester
Lecturer(s)Sunčica Vujić

3. Course contents *

Applied Econometrics is an advanced course in econometrics. The goal of this course is to further broaden students’ understanding of the methods and practical use of econometrics so that they can:

  • Apply these tools to modelling, estimation, inference and forecasting in the context of real-world economic problems;
  • critically evaluate policy-oriented and scientific work using standard econometric tools;
  • establish a foundation for further study of more advanced econometric methods.

The course is not theorem-proof driven, but emphasises motivation, understanding, implementation and interpretation.

Part I. Methods for cross-sectional and panel data. Examples of topics include:

  • Dummy variables
  • Simultaneous equations
  • Instrumental variables (IV) estimation

  • Qualitative and limited dependent variable models
  • Program evaluation methods (DID, RDD)

  • Panel data estimators

Part II. Time Series Analysis. Examples of topics include:

  • Autocorrelation and ARDL models
  • Stationary and nonstationary series
  • ARIMA models

  • Unit root test 

  • Cointegration and error correction models
  • Granger causality

  • Vector Autoregression (VAR) models